Liquidity has developed quickly in Wednesday Treasury options, with over 217K contracts traded in 5 weeks, including 42K contracts on June 14 ahead of the FOMC statement.
With over 1.65M contracts traded daily during European and Asian hours, CME Globex is the source for interest rate liquidity across all time zones:
Product | Non-RTH ADV | % YoY | % of Global |
---|---|---|---|
Eurodollar futures | 615K | +16% | 22% |
Eurodollar options | 136K | +46% | 23% |
Fed Fund futures | 47K | +108% | 19% |
Treasury futures | 713K | +14% | 21% |
Treasury options | 110K | +36% | 19% |
Data YTD as of June 28. RTH (Regular Trading Hours): 07:00 - 16:00 CT.
Data through June 30 2017, unless otherwise specified.
Record 907K contracts traded on June 14 around the FOMC meeting. YTD ADV is 233K, +78% YoY.
Interest Rate Futures & Options: Record 79M contracts on June 15
Eurodollar Futures & Options: Record 62M contracts on June 15
Large Open Interest Holders in 10-Year (TY) and Ultra T-Bond (UB) futures reached record levels of 404 and 115, respectively, in the June 20 and 27 CFTC reports.
Based on customer demand, we have added an inter-commodity spread between 5-Year and 10-Year MAC Swap futures, enabling new curve trading opportunities and relative value trading.
Beginning July 17, all Block trades and EFRP trades must be submitted via CME Direct or CME ClearPort. Please ensure you have confirmed with your brokers that you have completed the necessary set-up for this.